Multivariate residual-based finite-sample tests for serial depenedence and ARCH effects with applications to asset pricing models
Year of publication: |
2010
|
---|---|
Authors: | Dufour, Jean-Marie ; Khalaf, Lynda ; Beaulieu, Marie-Claude |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 25.2010, 2, p. 263-285
|
Subject: | Theorie | Theory | CAPM | Statistischer Test | Statistical test | ARCH-Modell | ARCH model |
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